Coverage Inducing Priors in Nonstandard Inference Problems

Ulrich K. Müller, Andriy Norets

Research output: Contribution to journalArticle

2 Scopus citations

Abstract

We consider the construction of set estimators that possess both Bayesian credibility and frequentist coverage properties. We show that under mild regularity conditions there exists a prior distribution that induces (1 − α) frequentist coverage of a (1 − α) credible set. In contrast to the previous literature, this result does not rely on asymptotic normality or invariance, so it can be applied in nonstandard inference problems. Supplementary materials for this article are available online.

Original languageEnglish (US)
Pages (from-to)1233-1241
Number of pages9
JournalJournal of the American Statistical Association
Volume111
Issue number515
DOIs
StatePublished - Jul 2 2016

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Conditional coverage
  • Confidence sets
  • Nonstandard inference problems
  • Objective Bayes
  • Probability matching
  • Unit roots

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